<p>
  The strategy buys SPY ETF at its closing price and sells it at the opening each day.
  The strategy makes a lot of trades, therefore, the whole strategy is very sensitive
  to slippage costs and fees. Those returns are canceled out once transaction costs
  are taken into account. With the InteractiveBrokers transaction model, fees for 20
  years backtest is almost 25% of the initial cash.
</p>
